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After joining Futures.io, I finally became convinced that I should diligently keep a trading journal. Mentally taking stock of my trading decisions and reviewing my executions log simply have not been sufficient to hold myself accountable for improving what seems to get me into trouble most: impatience and a lack of discipline.

I will outline below my approach to intraday trading. With each journal entry, I will list my reasons for entry, exit, etc. and pick a couple of trades to expand upon. I welcome any questions, comments and feedback, but believe I will find this useful even if I am the only one who opens this thread.

I trade almost exclusively CL, but will also trade the ES. The reason for my preference for the CL is my aforementioned impatience. Also I believe CL offers more opportunity, which also means more learning experiences per session.

My charts are simple. I use a 900 tick chart, completely clean with the exception of just 20, 50 and 100 period EMAs. Sometimes I will look at a 133 tick to "see inside" what I'm seeing on the 900 tick. I have seen in other threads a fair amount of back-and-forth regarding such settings, so please know that these settings are more or less arbitrary and just what I personally feel comfortable using. Furthermore, I use my charts only to identify what most refer to as levels, but I term "zones." This is because I am not looking at just a specific tick, but the areas in the vicinity. The zones around such levels include:

I want to highlight one trade I am happy with how I managed my entry and exit, and two mistakes I need to learn from.

Poor Decisions

At 9:42am I entered into one of my classic impulse, FOMO trades. These trades are the single biggest culprit I can identify in the current stage of my attempt to become consistently profitable. This usually happens for one of two reasons. Either it's the heart of the morning and greed gets the best of me, or I've had a bad day to that point and I desperately want to make up for this. In this example the former is true. I saw one thick level of bids broken and just jumped in. I shorted at the low of the leg down to the tick and got caught in the market pivoting against me. I broke my rules of trading only near major/minor levels and seeing stronger evidence from the order flow to back up my bias.

At 11:09am I entered my final trade of the day, as I had to leave at noon to take my car in to the service shop. As an aside, I believe some people have differing views on whether watching the prints on a thinner market like crude can be as advantageous as it is for thicker markets like the ES or treasuries. In my limited experience, I believe it is during relatively more liquid times for CL. However oftentimes when participation drops off around lunch time, I have had more trouble getting a feel for what's to come. This final trade is an example of how trying to trade during such times can get me into trouble. I believed we were in the midst of a change in the intraday trend. We were trading at a significant level, and I saw momentum for a second entry long after what I believed to be the conclusion of the first pivot against the new trend. The trade started to go against me 5 or 6 ticks, but this was on week volume and I believed this to be a result of a lack of bid side liquidity that was sure to build up. However, with the average limit orders per level starting to drop as we moved toward lunchtime, all it took was one or two big orders to pick up momentum against my position. I must recognize this earlier and either wait for higher volume in the afternoon or see if I may want to move over to the ES for the remainder of the day.

What I'd like to see myself master

One trade I am particularly pleased with was my short at 10:24am. As priced moved down closer to 39.00 it would bounce a bit with faders looking to defend this level. This was a big level the previous session with price jumping 40 ticks to the upside after breaking through. I was hoping for the reverse today and a home run. I observed absorption at 39.10, jumped in the offer and got filled. Price approached 39, broke through and dropped quickly to 38.92. However, momentum slowed as orders hitting the bid diminished. At this point I took my profit at 38.95.

I am very protective of profit. For me, psychologically, the worst thing that can happen is to have a good trade fall back to break-even or become a loser. This is worse than being wrong altogether. If I'm wrong, then I deserve to lose ticks. However, letting a winner circle back to break even or a loss is like being punished for doing the right thing. I despise this, and so I err on the side of caution. In this situation I was afraid of being caught in a flip/stop-run. In reality, this turned out to be the last push of the intraday trend, and I got out only 9 ticks above the day's low.

Could you possibly mention (for those of us who don't trade CL), just as a ball-park average figure, roughly how many 900-tick bars you'll typically see, per hour, during your regular trading hours?

Thank you Tymbeline.

From 9:00am to 11:30am I'd say a fair average would be 60-70 900tick bars, or 25 per hour. 11:30am to 2:30pm this would drop to say, 40 bars, or 10-15 per hour. Of course this can fluctuate, but I hope that helps.

This was about as bad as it gets for me. I suffered huge slippage on my very first trade. I let this affect me and took two trades on a brief momentum burst into the day's low hoping for a breakout, despite the fact there was huge bid side liquidity supporting this low. The rest of the day I believe was a reality check on why more experienced order flow traders favor the thick markets over the thin. More on this after a word on today.

I was happier today with the trading that resulted from feeling more aware of the rhythm of the market, especially after the Inventories news release. I don't feel I read the depth and sales much better today than yesterday, but I was more in tune with the context of what I was reading.

Learning

While learning about order flow, I've listened to a few professional traders mention that reading it can be more useful in thicker markets (US Treasuries and the ES), than in thinner ones (CL and GC). At first, I could certainly see why they would state this, but didn't think the difference in auction behavior would be as drastic as I'm experiencing. Now, I'm seeing a lot of instances of the things I look for on the order flow not panning with out with CL the way they would when I trade the ES. However, the ES is like watching grass grow for me, so I'd like to stick to trading CL.

I would appreciate any feedback or comments from anyone who trades using order flow. What instruments do you trade and why? What do you look for around the inside Bid and Offer to pinpoint your entry? How would you identify the "context" you observe to decide if what you're seeing around the inside Bid and Offer is significant at that moment?

Moving Forward

I believe I need to continue to incorporate the bigger picture being painted by the day's swings, and use this to provide stronger bias to my trading around the identified levels. I believe this may provide me the context within which to see an order flow print sequence as significant.

Further, I believe I should rely less on order flow for exit. I have gotten out of a lot of trades too early. This is because when trading the ES I am used to seeing pivots against the trend have small prints. This tells me that the bounce is only due to a lack of liquidity that has yet to build up behind the move. However, very often with CL I see price move against the trend with very large quantities of market orders, and yet it is only a pivot and the trend subsequently continues.

My first three days of this journal taught me that I need to be more selective, be more in tune with the context within which I'm developing a directional bias and try to hold my winners longer. I needed to get back to thinking like a position day trader, which was my goal, and not a scalper. The results so far are encouraging. This day I realized my highest net profit yet, achieved with the least number of trades.

In my first trade I saw some momentum to the upside after what I thought to be the end of a swing against the new uptrend. I was incorrect, and price eventually plunged 69 ticks to the low of CL's RTH, but I recognized this early and got out with a 6 tick loss.

My second trade was a short on the down move mentioned above. After breaking through 38.00, I saw price move back up to test this level and some absorption right below it. I got in at 37.96, but didn't like what I was seeing and became worried I might get caught in a stop-run/flip, so I exited at my entry price for a break-even trade.

My third and final trade came as price moved back to the upside. I observed the 20EMA acting as support, and knew this was the context that I was looking for to symbolize what I may now see on the order flow as significant. When I saw momentum begin to build I entered. I got out as price consolidated around the ETH high level. I was happy with a 50 tick winner, but realize I should have recognized that consolidation around that level did not mean the trend was over and I could've held a bit longer. Nonetheless, this trade was for a 50 tick gain.

A good intraday trend like this may not develop every session. However, if I trade with this kind of discipline I believe I will be heading in the right direction.

My first trade was placed long on momentum to the upside after the 20EMA appeared to begin to act as support for a new trend. I had the area around 37.30 in mind to see how price behaved. This level acted as a minor S/R level in the early morning and was the location of the 100EMA. After reaching what turned out to be the RTH high at 37.20, price quickly turned and ran down against me. I got out up just one tick.

The second trade was another long that I believed to be a second attempt at the development of an upside trend. This trade was not only my worst in terms of PnL, but the worst-managed trade I placed today. (The two aren't always the same.) I let price run against me more than I normally would, hoping that buyers would come in at 37.00 to support this psychological level. The level broke and I got out with a 20 tick loss that should've been a 6-8 tick loser.

The third and final trade was similar to the second, but a short. Again, I broke my rules signalling conditions for an exit, but the offense wasn't as bad as the previous trade.

Learning

This was a tough day. The range for the entire session was only 48 ticks, very low for CL. With what I'm trying to do, it would have been near-impossible to be profitable today. I am okay with this, and know such a small range for this instrument is fairly rare.

My entries were all well-assessed and executed. My exits were not. The pain from the damage to the bottom line for these mistakes should be a reminder to stick to my rules.

Another trading day with a tight range, similar to this past Friday (April 1st). Although not a profitable day, I was more selective and handled my losers better than I had on Friday. I am pleased with this. Furthermore, despite not being happy with the PnL, I traded well and stuck to my rules. My methodology works to capture larger intraday trends when they occur.

Of course hindsight is 20/20, but if I had traded yesterday and stuck to my rules I would have netted 80-90 ticks. Unfortunately I didn't trade yesterday and "would of/could of" counts for nothing, but my morale is high and I remain positive.

I took only two trades today. Both were long and looking to play off a minor support level at the ETH high and the 100EMA. I could've taken some profit on the first, but wanted to see if a greater trend would develop. When it broke through my entry level with some momentum I got out -7. In the second trade, momentum shifted on me much more quickly, with the exit signal being the same and getting out -8.

Today was a good day with a nice trend catalyzed by the oil inventories news release. Early on I took a long trade based on momentum off the 20EMA. This didn't last long, but I bagged a 9 tick profit nonetheless.

The second trade was completely unintentional. Sometimes I like to place stop orders ahead of what I believe may be a continuation of the current swing, then move it around based on what I observe on the depth and sales. As of yesterday, I have begun to use a different DOM to place orders. This DOM requires a different click to signify a limit vs. a stop order, instead of assuming your intention based on your order's relative position to the current inside Bid/Offer. I forgot this and mistakenly submitted a limit order that got filled immediately. This turned out to be a loss of 8 ticks plus the commissions and fees. If it had been placed as a stop I never would have been filled and taken a trade. This is a bit frustrating, but I will be more careful moving forward.

My final trade of the day caught the breakout to the upside after the news release's initial slip-and-slide craziness. I saw 37.80 as a S/R level and as price approached, I placed a limit order in front of the bulk of the liquidity cluster. I got filled for a 51 tick gain.

Overall, I am pleased with today. I am especially pleased with the fact that I had maintained my composure after a range day yesterday where I suffered losses. Discipline, patience, and not making emotional decisions have always been issues for me and I've been doing better on these points lately.